Nguyen Huu Thai
Cited by
Cited by
Constrained non-concave utility maximization: An application to life insurance contracts with guarantees
A Chen, P Hieber, T Nguyen
European Journal of Operational Research 273 (3), 1119-1135, 2019
Optimal investment under VaR-regulation and minimum insurance
A Chen, T Nguyen, M Stadje
Insurance: Mathematics and Economics 79, 194-209, 2018
Approximate hedging problem with transaction costs in stochastic volatility markets
TH Nguyen, S Pergamenshchikov
Mathematical Finance 27 (3), 832-865, 2017
Nonconcave optimal investment with value-at-risk constraint: An application to life insurance contracts
T Nguyen, M Stadje
SIAM Journal on Control and Optimization 58 (2), 895-936, 2020
Risk management with multiple VaR constraints
A Chen, T Nguyen, M Stadje
Mathematical Methods of Operations Research 88 (2), 297-337, 2018
Approximate hedging with constant proportional transaction costs in financial markets with jumps
T Nguyen, S Pergamenschchikov
Theory of Probability & Its Applications 65 (2), 224-248, 2020
Approximate hedging with transaction costs and Leland's algorithm in stochastic volatility markets
HT Nguyen
Rouen, 2014
Approximate hedging with proportional transaction costs for multi-asset options
HT Nguyen
submitted, 2013
Optimal collective investment
N Branger, A Chen, A Mahayni, T Nguyen
Working paper. Available at https://www. researchgate. net/publication/324910837, 2018
Optimal collective investment: The impact of sharing rules, management fees and guarantees
A Chen, T Nguyen, M Rach
Journal of Banking and Finance 123, 2021
Indifference Pricing under SAHARA Utility
A Chen, T Nguyen, N Soroensen
Journal of Computational and Applied Mathematics, 2021
Non-concave expected utility optimization with uncertain time horizon: an application to participating life insurance contracts
C Dehm, T Nguyen, M Stadje
arXiv preprint arXiv:2005.13831, 2020
A collective investment problem in a stochastic volatility environment: The impact of sharing rules
A Chen, T Nguyen, M Rach
Annals of Operations Research, 1-25, 2021
Linking Risk Management Under Expected Shortfall to Loss-Averse Behavior
A Chen, T Nguyen
Available at SSRN 3664590, 2020
Forward BSDEs and backward SPDEs for utility maximization under endogenous pricing
T Nguyen, M Stadje
arXiv preprint arXiv:2005.04312, 2020
Optimal collective investment under portfolio insurance: how costly are guarantees?
A Chen, T Nguyen, M Rach
Funding life insurance contracts with guarantees: How can we optimally respond to the policyholder's needs?
A Chen, P Hieber, T Nguyen
Optimal investment and consumption with downside risk constraint in jump-diffusion models
T Nguyen
arXiv preprint arXiv:1604.05584, 2016
Spectral Representation of Multiply Self-decomposable Stochastic Processes and Applications
NV Thu, TA Dung, DT Dam, NH Thai
Stochastic Processes And Applications To Mathematical Finance, 245-258, 2007
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